For me, this is not about illegal downloading or not. In the first place, this is about censoring. Microsoft censors your instant messages (without you having an option to configure this kind of censoring). Microsoft is judging what you are allowed to tell to your buddies. I don't like that. At all.

Out of principle, I wouldn't even like it if Microsoft censors messages or file transfers that it deems to be viruses (if they don't give the users an opt-in for that functionality). I would understand why they do it, but wouldn't agree with it, because it's still censoring. I have the same kind of remarks for the new functionality in browsers that warns the user that a website might contain viruses. Those browsers could not give the user any option and just block all websites that according to them might contain malware. That is censoring. Giving the user the option to check the urls he visit, and give him a warning that the site might contain malware, is a lot better.

MSN Messenger giving you a warning (that you can disable) when you try to send a piratebay link to a buddy would be a whole different thing.

I am more and more convinced that all types of services we use on the internet should be based on open protocols and should be decentralized, so that everyone can run their own servers, or use servers they like. So, instead of MSN Messenger, start using Jabber with a Jabber client, and a Jabber server that you trust.